First off I would like to say that this is a great topic, and touches on a larger topic and issue that all DM's have when trying to make a real roleplaying experience which is
"How do I get my bloodthirsty murder hobos to have their characters RP actual human responses to threats instead of just rolling dice to crack open the XP pinata and see if any useful magic item's fall out?" I ran into a similar issue when trying to introduce devils into my campaign instead of demons because I wanted to try corrupting characters and have a more cerebral bad guy to be the antagonist.
First off, you need to start using the things that stir up primal dreads that are common to just about anyone, and of course darkness is one of them. But again in game there are numerous ways to get around that one. It is seen as more of a tactical issue than one of fear. It helps if you've ever worked with players that have been out in the woods on a moonless night to see just how dark and scary that is to a species like ours that was more prey than predator for most of our existence. Darkness isn't just about not being able to see, it's about knowing that you can't see and somewhere out there is something that might be higher on the food chain, it knows about you, and if you run into it it's probably game over. It also helps if you actually pay at night and limit the amount of light at the table. That may be a bit trite, but its true. It's REALLY hard to get even solid RPer's freaked out about their characters being in the dark when you're playing on a sunny afternoon.
Other fears are being buried allive, or trapped underground. Under water is another one. Most people seem to not realize that after a few hundred feet your not in Princess Ariel's sunny underwater grottos of coral and lovely or that of any Disney movie, but a place of darkness and cold that is quite alien to us. Even in the real world most of the creatures that live down there are quite alien and scary looking. It is not the land of noble merfolk and sea elves(well, not entirely), but of Kuo-Toa, Aboleths, blind serpents with mouths of needle teeth, and of course, Krakens

There is a reason HP Lovecraft's stories spend a lot of time with things that are under the earth or in the deep sea. If you really want to double it up, underdark AND underwater. Don't give them maps, don't give them points of references, and keep the fact they even know what they are fighting to a minimum. Fear of the unknown is the best tool you'll have to keep your players freaked out. I once had a large room that had a bottomless pit, only way across was to swing on some chains. There were Babau in the darkness but they didn't know that, just that some large things were swinging on the outskirts with red eyes once they had started across.
It's also a two way street, the players are going to have to get into it with you. When I did once run a pretty successful horror themed Halloween session on time, I got a lot of good scares and tension among the PC's, and consider that one of my best nights as a DM. That being said, the thing that terrified them the most, a Rust Monster. Nothing, and I mean nothing terrifies players like thinking they are about to have some of their best gear destroyed. Probably not the species of horror you were asking about in your thread, but still as far as DND PC's go, a very primal one common to them all
